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Never the less, I ran your system against the NDX and attached are the
results. They are identical to yours.
My comment from before still stands. Look at the equity curve.. You
start investing 1/2/1997 and yet as of Feb 5, 2001 you have less than
the 10k you started with. You missed all of the big bubble. You only
start making money after that.
The dates 1/1/1997 to 7/21/2002 are fine by me for the test as it
reflects a lot of varied conditions.
Sorry for my confusion.
-----Original Message-----
From: Anthony Faragasso [mailto:ajf1111@x...]
Sent: Sunday, July 21, 2002 8:38 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] StoRSI
Dingo,
In your post to Herman, you mentioned the NDX and applying the system
over a greater range of date values because the QQQ's do not have an
historical backround as the NDX. So ,The last post to you was for the
NDX and the date values you hinted to in your post. My Mistake, I
thought you would realize that because the post carried your initial
email.
In reference to the QQQ's, How can I provide you with more consistent
performance than what was already posted concerning the StochRsi and
filters, if the data does not have a longer history ? :(
Let me know
Anthony
dingo wrote:
> Hmmm.... Looks like Anthony sneaked in an NDX in on me.I'm still
> trying to keep on topic for QQQ..dingo
>
> -----Original Message-----
> From: Herman van den Bergen [mailto:psytek@x...]
> Sent: Sunday, July 21, 2002 8:02 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] StoRSI
>
> Are we trading the !NDX index or the QQQ ETF?Take
> care,Herman.
>
> -----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Sunday, July 21, 2002 7:49 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] StoRSI
>
> Very nice for a total. But now run the very same
> thing for the dates: 1/1/1997 - 5/1/2000. Would
> you take that amount of risk (look at the
> drawdowns) for almost 3 1/2 years for -14.74%? If
> so, you're a braver soul than I..Now show me
> something that has less risk with consistent
> returns. Spectacular returns are not my goal. Not
> trying to slam you just stating my perspective
> gained from many years and many wounds. I know
> you've been at this Amipro stuff a lot longer than
> I have so I have to believe these don't represent
> your inner trader, eh?d
>
> -----Original Message-----
> From: Anthony Faragasso
> [mailto:ajf1111@x...]
> Sent: Sunday, July 21, 2002 5:44 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] StoRSI
>
>
Settings
Initial Equity: 10000 Periodicity/Positions:
Daily/Long
Short
Commissions: 0.50 % Annual interest rate:
0.00%
Range: 1/1/1997 - Apply to:
Current Symbol
7/21/2002
Long trades
Buy price: Open Sell price:
Open
Buy delay: 1 Sell delay:
1
Short trades
Short price: Open Cover price:
Open
Short delay: 1 Cover delay:
1
Stops
Maximum loss: percent Profit target:
disabled
Value: 25.00 Value:
50.00
Exit at stop? yes Exit at stop?
no
Trailing stop: disabled
Value: 50.00
Exit at stop? yes
>
Formula
>
> //StochRSI on the QQQ's
>
>
StochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100
;
>
>
>
> Buy=Cross(17,StochRsi) AND ADX(14) > 20 AND RSI(4)<50;
> Sell=Cross(StochRsi,83)AND ADX(14) > 13 AND RSI(4)>50;
> Short=Sell;Cover=Buy;
> Filter=1;
> AddColumn(Buy,"buy");
> Plot(Stochrsi,"",4,1);
> Plot(17,"",5,1);
> Plot(83,"",5,1);
>
>
Overall performance summary
Total net profit: 31252.28 Total commissions
paid: 9865.88
Return on account: 312.52 % Open position
gain/loss 1580.02
Buy&Hold profit: 1761.93 Bars (avg. days)
in 1395 (2025)
test:
Buy&Hold % return: 17.62% System to
Buy&Hold 1673.75%
index:
Annual system % return: 29.10% Annual B&H %
return: 2.97%
System drawdown: -5744.49 B&H drawdown:
-513.66
Max. system drawdown: -9074.01 B&H max.
drawdown: -47123.07
Max. system % drawdown: -68.75% B&H max. %
drawdown: -80.36%
Max. trade drawdown: -8545.46
Max. trade % drawdown: -53.19%
Trade drawdown: -5756.92
Total number of trades: 75 Percent
profitable: 66.7%
Number winning trades: 50 Number losing
trades: 25
Profit of winners: 50654.36 Loss of losers:
-20982.10
Total # of bars in Total # of bars
in
winners: 682 losers:
766
Commissions paid in Commissions paid
in
winners: 6842.49 losers:
3023.39
Largest winning trade: 5355.22 Largest losing
trade: -3227.82
# of bars in largest # bars in
largest
winner: 20 loser:
26
Commission paid in Commission paid
in
largest winner: 404.25 largest loser:
414.94
Average winning trade: 1013.09 Average losing
trade: -839.28
Avg. # of bars in
winners: 13.6 Avg. # bars in
losers: 30.6
Avg. commission paid in Avg. commission
paid in
winner: 136.85 loser:
120.94
Max consec. winners: 9 Max consec.
losers: 3
Bars out of the market: 18 Interest
earned: 0.00
Exposure: 98.7% Risk adjusted
ann. 29.48%
return:
Ratio avg win/avg loss: 1.21 Avg. trade (win
& 395.63
loss):
Profit factor: 2.41
>
Performance for ^NDX
Total net profit: 31252.28 Total commissions
paid: 9865.88
Return on account: 312.52 % Open position
gain/loss 1580.02
Buy&Hold profit: 1761.93 Bars (days) in
test: 1395 (2025)
Buy&Hold % return: 17.62% System to
Buy&Hold 1673.75%
index:
Annual system % return: 29.10% Annual B&H %
return: 2.97%
System drawdown: -5744.49 B&H drawdown:
-513.66
Max. system drawdown: -9074.01 B&H max.
drawdown: -47123.07
Max. system % drawdown: -68.75% B&H max. %
drawdown: -80.36%
Max. trade drawdown: -8545.46
Max. trade % drawdown: -53.19%
Trade drawdown: -5756.92
Total number of trades: 75 Percent
profitable: 66.7%
Number winning trades: 50 Number losing
trades: 25
Profit of winners: 50654.36 Loss of losers:
-20982.10
Total # of bars in Total # of bars
in
winners: 682 losers:
766
Commissions paid in Commissions paid
in
winners: 6842.49 losers:
3023.39
Largest winning trade: 5355.22 Largest losing
trade: -3227.82
# of bars in largest # bars in
largest
winner: 20 loser:
26
Commission paid in Commission paid
in
largest winner: 404.25 largest loser:
414.94
Average winning trade: 1013.09 Average losing
trade: -839.28
Avg. # of bars in
winners: 13.6 Avg. # bars in
losers: 30.6
Avg. commission paid in Avg. commission
paid in
winner: 136.85 loser:
120.94
Max consec. winners: 9 Max consec.
losers: 3
Bars out of the market: 18 Interest
earned: 0.00
Exposure: 98.7% Risk adjusted
ann. 29.48%
return:
Ratio avg win/avg loss: 1.21 Avg. trade (win
& 395.63
loss):
Profit factor: 2.41
>
Trade list for ^NDX
Trade Entry date Entry Exit date Exit Position
Net Equity
price price size
Profit value
Out 1/2/1997 821.36 1/3/1997 815.60 0.00
0.00 10000.00
Long 1/3/1997 815.60 1/8/1997 864.55 10000.00
497.17 10497.17
Short 1/8/1997 864.55 1/29/1997 890.79 10497.17
-421.98 10075.19
Long 1/29/1997 890.79 4/8/1997 832.31 10075.19
-758.88 9316.32
Short 4/8/1997 832.31 5/14/1997 910.57 9316.32
-964.77 8351.54
Long 5/14/1997 910.57 5/27/1997 959.08 8351.54
359.18 8710.73
Short 5/27/1997 959.08 6/4/1997 929.81 8710.73
177.40 8888.13
Long 6/4/1997 929.81 6/16/1997 964.40 8888.13
240.11 9128.24
Short 6/16/1997 964.40 7/29/1997 1075.18 9128.24
-1134.607993.65
Long 7/29/1997 1075.18 8/4/1997 1108.95 7993.65
169.88 8163.53
Short 8/4/1997 1108.95 8/13/1997 1090.78 8163.53
51.45 8214.98
Long 8/13/1997 1090.78 9/5/1997 1105.82 8214.98
30.55 8245.53
Short 9/5/1997 1105.82 10/28/1997 978.84 8245.53
859.63 9105.17
Long 10/28/1997 978.84 11/4/1997 1050.72 9105.17
574.23 9679.40
Short 11/4/1997 1050.72 11/13/1997 980.14 9679.40
550.15 10229.55
Long 11/13/1997 980.14 11/18/1997 1049.70 10229.55
620.06 10849.61
Short 11/18/1997 1049.70 12/26/1997 938.99 10849.61
1030.07 11879.68
Long 12/26/1997 938.99 12/31/1997 998.46 11879.68
629.83 12509.51
Short 12/31/1997 998.46 3/4/1998 1175.72 12509.51
-2334.8510174.66
Long 3/4/1998 1175.72 3/17/1998 1180.17 10174.66
-63.43 10111.24
Short 3/17/1998 1180.17 4/28/1998 1220.05 10111.24
-441.08 9670.16
Long 4/28/1998 1220.05 5/14/1998 1263.08 9670.16
242.65 9912.81
Short 5/14/1998 1263.08 7/24/1998 1405.80 9912.81
-1213.618699.19
Long 7/24/1998 1405.80 8/19/1998 1401.24 8699.19
-115.07 8584.12
Short 8/19/1998 1401.24 8/31/1998 1265.04 8584.12
744.36 9328.48
Long 8/31/1998 1265.04 9/14/1998 1290.20 9328.48
91.32 9419.80
Short
(max 9/14/1998 1290.20 11/27/1998 1612.75 9419.80
-2437.376982.43
loss)
Out 11/27/1998 1612.75 12/22/1998 1787.30 0.00
0.00 6982.43
Short 12/22/1998 1787.30 1/15/1999 1906.12 6982.43
-531.70 6450.73
Long 1/15/1999 1906.12 2/1/1999 2127.19 6450.73
679.90 7130.63
Short 2/1/1999 2127.19 2/8/1999 1988.55 7130.63
391.11 7521.74
Long 2/8/1999 1988.55 3/10/1999 2028.57 7521.74
75.40 7597.15
Short 3/10/1999 2028.57 7/23/1999 2281.92 7597.15
-1020.046577.10
Long 7/23/1999 2281.92 8/17/1999 2313.08 6577.10
23.59 6600.70
Short
(max 8/17/1999 2313.08 11/15/1999 2891.58 6600.70
-1708.584892.11
loss)
Out 11/15/1999 2891.58 11/17/1999 2952.91 0.00
0.00 4892.11
Short 11/17/1999 2952.91 12/1/1999 2970.04 4892.11
-77.16 4814.95
Long 12/1/1999 2970.04 12/14/1999 3243.60 4814.95
393.12 5208.08
Short 12/14/1999 3243.60 1/7/2000 3337.26 5208.08
-201.71 5006.36
Long 1/7/2000 3337.26 1/19/2000 3741.45 5006.36
553.25 5559.61
Short 1/19/2000 3741.45 1/28/2000 3595.89 5559.61
159.62 5719.23
Long 1/28/2000 3595.89 2/4/2000 3858.60 5719.23
358.56 6077.78
Short 2/4/2000 3858.60 2/23/2000 3966.00 6077.78
-229.10 5848.68
Long 2/23/2000 3966.00 3/2/2000 4311.97 5848.68
449.17 6297.85
Short 3/2/2000 4311.97 4/13/2000 3645.79 6297.85
905.15 7202.99
Long 4/13/2000 3645.79 6/2/2000 3518.98 7202.99
-321.32 6881.68
Short 6/2/2000 3518.98 9/19/2000 3588.37 6881.68
-203.84 6677.84
Long 9/19/2000 3588.37 10/20/2000 3379.73 6677.84
-453.11 6224.73
Short 10/20/2000 3379.73 10/31/2000 3120.21 6224.73
413.34 6638.07
Long 10/31/2000 3120.21 11/6/2000 3346.15 6638.07
411.89 7049.97
Short 11/6/2000 3346.15 11/13/2000 2798.95 7049.97
1076.63 8126.59
Long 11/13/2000 2798.95 12/11/2000 2900.28 8126.59
211.47 8338.06
Short 12/11/2000 2900.28 12/18/2000 2604.08 8338.06
763.91 9101.97
Long 12/18/2000 2604.08 12/28/2000 2435.84 9101.97
-676.12 8425.85
Short 12/28/2000 2435.84 3/1/2001 1879.84 8425.85
1829.39 10255.24
Long 3/1/2001 1879.84 3/8/2001 1982.44 10255.24
454.37 10709.61
Short 3/8/2001 1982.44 4/3/2001 1487.87 10709.61
2551.33 13260.94
Long 4/3/2001 1487.87 4/11/2001 1694.60 13260.94
1700.70 14961.64
Short 4/11/2001 1694.60 4/27/2001 1808.92 14961.64
-1153.9013807.74
Long 4/27/2001 1808.92 5/21/2001 1931.29 13807.74
791.32 14599.06
Short 5/21/2001 1931.29 8/22/2001 1504.65 14599.06
3062.95 17662.01
Long 8/22/2001 1504.65 8/28/2001 1579.55 17662.01
698.18 18360.19
Short 8/28/2001 1579.55 9/5/2001 1425.35 18360.19
1599.81 19960.00
Long 9/5/2001 1425.35 11/8/2001 1548.00 19960.00
1509.35 21469.35
Short 11/8/2001 1548.00 12/4/2001 1582.07 21469.35
-684.85 20784.50
Long 12/4/2001 1582.07 12/7/2001 1706.27 20784.50
1415.68 22200.18
Short 12/7/2001 1706.27 12/17/2001 1607.08 22200.18
1062.10 23262.28
Long 12/17/2001 1607.08 1/4/2002 1685.54 23262.28
897.40 24159.68
Short 1/4/2002 1685.54 2/6/2002 1480.45 24159.68
2683.36 26843.04
Long 2/6/2002 1480.45 2/14/2002 1491.19 26843.04
-74.67 26768.37
Short 2/14/2002 1491.19 2/25/2002 1366.44 26768.37
1960.51 28728.88
Long 2/25/2002 1366.44 3/5/2002 1484.83 28728.88
2189.37 30918.25
Short 3/5/2002 1484.83 4/12/2002 1340.66 30918.25
2677.82 33596.07
Long 4/12/2002 1340.66 4/17/2002 1422.42 33596.07
1702.65 35298.72
Short 4/17/2002 1422.42 4/25/2002 1295.59 35298.72
2778.69 38077.41
Long 4/25/2002 1295.59 5/15/2002 1290.40 38077.41
-532.54 37544.86
Short 5/15/2002 1290.40 6/12/2002 1092.45 37544.86
5355.22 42900.08
Long 6/12/2002 1092.45 7/18/2002 1020.82 42900.08
-3227.8239672.26
Open
Short 7/18/2002 1020.82 7/19/2002 975.06 39672.26
1580.02 41252.28
>
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Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
1/1/1997 - 7/21/2002
Apply to:
Current Symbol
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
percent
Profit target:
disabled
Value:
25.00
Value:
0.00
Exit at stop?
yes
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Overall performance summary
Total net profit:
77303.82
Total commissions paid:
0.00
Return on account:
773.04 %
Open position gain/loss
3745.64
Buy&Hold profit:
1871.29
Bars (avg. days) in test:
1395 (2025)
Buy&Hold % return:
18.71%
System to Buy&Hold index:
4031.05%
Annual system % return:
47.78%
Annual B&H % return:
3.14%
System drawdown:
-3935.59
B&H drawdown:
-513.66
Max. system drawdown:
-17812.24
B&H max. drawdown:
-47123.07
Max. system % drawdown:
-62.39%
B&H max. % drawdown:
-80.36%
Max. trade drawdown:
-17812.24
Max. trade % drawdown:
-53.19%
Trade drawdown:
-11999.79
Total number of trades:
75
Percent profitable:
69.3%
Number winning trades:
52
Number losing trades:
23
Profit of winners:
99699.28
Loss of losers:
-26141.10
Total # of bars in winners:
699
Total # of bars in losers:
749
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
11893.01
Largest losing trade:
-5863.20
# of bars in largest winner:
20
# bars in largest loser:
26
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
1917.29
Average losing trade:
-1136.57
Avg. # of bars in winners:
13.4
Avg. # bars in losers:
32.6
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
10
Max consec. losers:
3
Bars out of the market:
18
Interest earned:
0.00
Exposure:
98.7%
Risk adjusted ann. return:
48.41%
Ratio avg win/avg loss:
1.69
Avg. trade (win & loss):
980.78
Profit factor:
3.81
Trade list for NDX--X
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Out
1/2/1997
821.36
1/3/1997
815.60
0.00
0.00
10000.00
Long
1/3/1997
815.60
1/8/1997
864.55
10000.00
600.17
10600.17
Short
1/8/1997
864.55
1/29/1997
890.79
10600.17
-321.73
10278.45
Long
1/29/1997
890.79
4/8/1997
832.31
10278.45
-674.78
9603.67
Short
4/8/1997
832.31
5/14/1997
910.57
9603.67
-903.01
8700.66
Long
5/14/1997
910.57
5/27/1997
959.08
8700.66
463.52
9164.18
Short
5/27/1997
959.08
6/4/1997
929.81
9164.18
279.68
9443.86
Long
6/4/1997
929.81
6/16/1997
964.40
9443.86
351.32
9795.18
Short
6/16/1997
964.40
7/29/1997
1075.18
9795.18
-1125.17
8670.02
Long
7/29/1997
1075.18
8/4/1997
1108.95
8670.02
272.31
8942.33
Short
8/4/1997
1108.95
8/13/1997
1090.78
8942.33
146.52
9088.85
Long
8/13/1997
1090.78
9/5/1997
1105.82
9088.85
125.32
9214.17
Short
9/5/1997
1105.82
10/28/1997
978.84
9214.17
1058.05
10272.22
Long
10/28/1997
978.84
11/4/1997
1050.72
10272.22
754.33
11026.55
Short
11/4/1997
1050.72
11/13/1997
980.14
11026.55
740.69
11767.24
Long
11/13/1997
980.14
11/18/1997
1049.70
11767.24
835.11
12602.35
Short
11/18/1997
1049.70
12/26/1997
938.99
12602.35
1329.15
13931.50
Long
12/26/1997
938.99
12/31/1997
998.46
13931.50
882.34
14813.84
Short
12/31/1997
998.46
3/4/1998
1175.72
14813.84
-2629.95
12183.89
Long
3/4/1998
1175.72
3/17/1998
1180.17
12183.89
46.11
12230.00
Short
3/17/1998
1180.17
4/28/1998
1220.05
12230.00
-413.27
11816.73
Long
4/28/1998
1220.05
5/14/1998
1263.08
11816.73
416.76
12233.49
Short
5/14/1998
1263.08
7/24/1998
1405.80
12233.49
-1382.31
10851.19
Long
7/24/1998
1405.80
8/19/1998
1401.24
10851.19
-35.20
10815.99
Short
8/19/1998
1401.24
8/31/1998
1265.04
10815.99
1051.31
11867.30
Long
8/31/1998
1265.04
9/14/1998
1290.20
11867.30
236.03
12103.32
Short (max loss)
9/14/1998
1290.20
11/27/1998
1612.75
12103.32
-3025.83
9077.49
Out
11/27/1998
1612.75
12/22/1998
1787.30
0.00
0.00
9077.49
Short
12/22/1998
1787.30
1/15/1999
1906.12
9077.49
-603.47
8474.02
Long
1/15/1999
1906.12
2/1/1999
2127.19
8474.02
982.81
9456.83
Short
2/1/1999
2127.19
2/8/1999
1988.55
9456.83
616.35
10073.18
Long
2/8/1999
1988.55
3/10/1999
2028.57
10073.18
202.72
10275.90
Short
3/10/1999
2028.57
7/23/1999
2281.92
10275.90
-1283.37
8992.54
Long
7/23/1999
2281.92
8/17/1999
2313.08
8992.54
122.79
9115.33
Short (max loss)
8/17/1999
2313.08
11/15/1999
2891.58
9115.33
-2279.74
6835.59
Out
11/15/1999
2891.58
11/17/1999
2952.91
0.00
0.00
6835.59
Short
11/17/1999
2952.91
12/1/1999
2970.04
6835.59
-39.65
6795.94
Long
12/1/1999
2970.04
12/14/1999
3243.60
6795.94
625.95
7421.89
Short
12/14/1999
3243.60
1/7/2000
3337.26
7421.89
-214.31
7207.58
Long
1/7/2000
3337.26
1/19/2000
3741.45
7207.58
872.94
8080.52
Short
1/19/2000
3741.45
1/28/2000
3595.89
8080.52
314.37
8394.89
Long
1/28/2000
3595.89
2/4/2000
3858.60
8394.89
613.32
9008.20
Short
2/4/2000
3858.60
2/23/2000
3966.00
9008.20
-250.73
8757.47
Long
2/23/2000
3966.00
3/2/2000
4311.97
8757.47
763.95
9521.42
Short
3/2/2000
4311.97
4/13/2000
3645.79
9521.42
1471.02
10992.44
Long
4/13/2000
3645.79
6/2/2000
3518.98
10992.44
-382.35
10610.09
Short
6/2/2000
3518.98
9/19/2000
3588.37
10610.09
-209.22
10400.87
Long
9/19/2000
3588.37
10/20/2000
3379.73
10400.87
-604.74
9796.13
Short
10/20/2000
3379.73
10/31/2000
3120.21
9796.13
752.22
10548.35
Long
10/31/2000
3120.21
11/6/2000
3346.15
10548.35
763.82
11312.17
Short
11/6/2000
3346.15
11/13/2000
2798.95
11312.17
1849.89
13162.07
Long
11/13/2000
2798.95
12/11/2000
2900.28
13162.07
476.50
13638.57
Short
12/11/2000
2900.28
12/18/2000
2604.08
13638.57
1392.88
15031.45
Long
12/18/2000
2604.08
12/28/2000
2435.84
15031.45
-971.13
14060.33
Short
12/28/2000
2435.84
3/1/2001
1879.84
14060.33
3209.38
17269.71
Long
3/1/2001
1879.84
3/8/2001
1982.44
17269.71
942.57
18212.27
Short
3/8/2001
1982.44
4/3/2001
1487.87
18212.27
4543.51
22755.79
Long
4/3/2001
1487.87
4/11/2001
1694.60
22755.79
3161.77
25917.56
Short
4/11/2001
1694.60
4/27/2001
1808.92
25917.56
-1748.43
24169.12
Long
4/27/2001
1808.92
5/21/2001
1931.29
24169.12
1635.00
25804.12
Short
5/21/2001
1931.29
8/22/2001
1504.65
25804.12
5700.37
31504.49
Long
8/22/2001
1504.65
8/28/2001
1579.55
31504.49
1568.26
33072.75
Short
8/28/2001
1579.55
9/5/2001
1425.35
33072.75
3228.65
36301.40
Long
9/5/2001
1425.35
11/8/2001
1548.00
36301.40
3123.70
39425.10
Short
11/8/2001
1548.00
12/4/2001
1582.07
39425.10
-867.71
38557.39
Long
12/4/2001
1582.07
12/7/2001
1706.27
38557.39
3026.94
41584.33
Short
12/7/2001
1706.27
12/17/2001
1607.08
41584.33
2417.41
44001.74
Long
12/17/2001
1607.08
1/4/2002
1685.54
44001.74
2148.23
46149.97
Short
1/4/2002
1685.54
2/6/2002
1480.45
46149.97
5615.35
51765.32
Long
2/6/2002
1480.45
2/14/2002
1491.19
51765.32
375.53
52140.86
Short
2/14/2002
1491.19
2/25/2002
1366.44
52140.86
4362.00
56502.86
Long
2/25/2002
1366.44
3/5/2002
1484.83
56502.86
4895.48
61398.33
Short
3/5/2002
1484.83
4/12/2002
1340.66
61398.33
5961.49
67359.82
Long
4/12/2002
1340.66
4/17/2002
1422.42
67359.82
4107.94
71467.76
Short
4/17/2002
1422.42
4/25/2002
1295.59
71467.76
6372.42
77840.18
Long
4/25/2002
1295.59
5/15/2002
1290.40
77840.18
-311.82
77528.37
Short
5/15/2002
1290.40
6/12/2002
1092.45
77528.37
11893.01
89421.38
Long
6/12/2002
1092.45
7/18/2002
1020.82
89421.38
-5863.20
83558.19
Open Short
7/18/2002
1020.82
7/19/2002
975.06
83558.19
3745.64
87303.82
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